R: US Investment Data

Investment {sandwich} | R Documentation

## US Investment Data

### Description

US data for fitting an investment equation.

### Usage

    data(Investment)

### Format

An annual time series from 1963 to 1982 with 7 variables.

GNP

  nominal gross national product (in billion USD),

Investment

  nominal gross private domestic investment (in billion USD),

Price

  price index, implicit price deflator for GNP,

Interest

  interest rate, average yearly discount rate charged by the New York Federal Reserve Bank,

RealGNP

  real GNP (= GNP/Price),

RealInv

  real investment (= Investment/Price),

RealInt

  approximation to the real interest rate (= Interest - 100 * diff(Price)/Price).

### Source

Table 15.1 in Greene (1993)

### References

Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.

Executive Office of the President (1984), Economic Report of the President. US Government Printing Office, Washington, DC.

### Examples

    ## Willam H. Greene, Econometric Analysis, 2nd Ed.
    ## Chapter 15
    ## load data set, p. 411, Table 15.1
    data(Investment)

    ## fit linear model, p. 412, Table 15.2
    fm <- lm(RealInv ~ RealGNP + RealInt, data = Investment)
    summary(fm)

    ## visualize residuals, p. 412, Figure 15.1
    plot(ts(residuals(fm), start = 1964),
      type = "b", pch = 19, ylim = c(-35, 35), ylab = "Residuals")
    sigma <- sqrt(sum(residuals(fm)^2)/fm$df.residual) ## maybe used df = 26 instead of 16 ??
    abline(h = c(-2, 0, 2) * sigma, lty = 2)

    if(require(lmtest)) {
    ## Newey-West covariances, Example 15.3
    coeftest(fm, vcov = NeweyWest(fm, lag = 4))
    ## Note, that the following is equivalent:
    coeftest(fm, vcov = kernHAC(fm, kernel = "Bartlett", bw = 5, prewhite = FALSE, adjust = FALSE))

    ## Durbin-Watson test, p. 424, Example 15.4
    dwtest(fm)

    ## Breusch-Godfrey test, p. 427, Example 15.6
    bgtest(fm, order = 4)
    }

    ## visualize fitted series
    plot(Investment[, "RealInv"], type = "b", pch = 19, ylab = "Real investment")
    lines(ts(fitted(fm), start = 1964), col = 4)

    ## 3-d visualization of fitted model
    if(require(scatterplot3d)) {
    s3d <- scatterplot3d(Investment[,c(5,7,6)],
      type = "b", angle = 65, scale.y = 1, pch = 16)
    s3d$plane3d(fm, lty.box = "solid", col = 4)
    }

[Package sandwich version 2.3-4 Index]